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Grid systems

  • #41
  • Jan 28, 2013 5:02am Jan 28, 2013 5:02am
Jordi, does your method involve trading bigger lots during a trending period? Not necessarily Martingale but larges than standard lots?
  • #42
  • Jan 28, 2013 5:30am Jan 28, 2013 5:30am
Hi Andy, no, this is not the solution, at least is not my solution. Sorry, I know that I'm not much clear, but I start trading 14 years ago. It has been a long journey, and very expensive. Now I'm pretty confident that I understand which is the nature of the markets. You won't find the answer in the books, neither in the forums, so I hope you understand why I don't explain my method in public.

Anyway, for every problem there is a solution. first, which is the problem? think about it.

Maybe I made an error posting here, I don't want to sabotage this thread. Bull.bear is making a great work in all of his threads. I can see there is an enormous work behind them.
  • #43
  • Jan 28, 2013 7:11am Jan 28, 2013 7:11am
Quoting Jordi
Hi Andy, no, this is not the solution, at least is not my solution. Sorry, I know that I'm not much clear, but I start trading 14 years ago. It has been a long journey, and very expensive. Now I'm pretty confident that I understand which is the nature of the markets. You won't find the answer in the books, neither in the forums, so I hope you understand why I don't explain my method in public.

Anyway, for every problem there is a solution. first, which is the problem? think about it.

Maybe I made an error posting here, I don't want to sabotage...
I'm very impressed then, I've never figured a way to trade trends using a grid strategy without at least a soft Martingale approach

In terms of the problem, almost all trading strategies do well in trending markets and lose consistently in a ranging market. Grid trading is the opposite. The "holy grail" is to identify very early which market we are in, very easy in hindsight but always tough at the right hand side of the chart, or at least I've always found that to be the case.

I need to give this more thought....
  • #44
  • Jan 28, 2013 10:03am Jan 28, 2013 10:03am
Amendment for EA version V102. Now the EA can allow to trade ASIA session and close all orders after Friday market close.
  • #45
  • Jan 28, 2013 10:35am Jan 28, 2013 10:35am
Jordi.: Thanks of your kind words.

All: I have been gone through a lot "hell" moments in the past. So for a strategy/system that works, it must not be a simple one nor too complex. And a good system that need mutual complements in advantage and disadvantage. Trade in market with ranging and trending can be compromised, you could trade well in both scenario. The solution is to look into every aspects of points, such as how to capture the most pips when current system is unable to do so. And there might be the worst result if you are trying to add in some rules to cover up the not captured pips.

Thanks.
  • #46
  • Jan 31, 2013 1:17am Jan 31, 2013 1:17am
Hi Bull.Bear


First Thanks for sharing your system, the idea is very interesting when you have a sideway market, I didn't try your system yet but I read Jordi idea and it may resume the Grid system.

Second I agree with you on your last comment and I will try to make a rule out of it in Progress that can be used in a sideway market and I will discuss it in my forum if you don't mind
  • #47
  • Mar 5, 2013 12:42am Mar 5, 2013 12:42am
I grid trade but I basket, losing pair or pairs during a particular condition is offset/ reduced risk when on other pairs with different market conditions.
I'm still trying to find that perfect balance between profit & s/l on pairs
  • #48
  • Edited 9:07am Mar 5, 2013 8:17am | Edited 9:07am
Version V101: Combine Long and Short EA Scalping
It is under investigating and fine tuning, please help and advice for further improvement


This EA has been backtest during 2004.01.01 to 2006.12.31 by using capital USD$5000. Here is the result.
Attached Image (click to enlarge)
Click to Enlarge Name: Result01.png Size: 62 KB



However, when i backtest during 2007.01.01 onward. I get this result as below.
Attached Image (click to enlarge)
Click to Enlarge Name: Result02.png Size: 62 KB



The top 5 optimal result from the optimizing backtest at year 2004. Unfortunately, no optimal result at year 2007.
Attached Image



I have attached the EA and optimal parameter. Please take a look.
Continue to next post.......
Attached File(s)
File Type: rar Grid V101.rar   4 KB | 896 downloads
  • #49
  • Edited Mar 6, 2013 3:54am Mar 5, 2013 8:20am | Edited Mar 6, 2013 3:54am
I have done deep inside analysis for the backtest result. The analysis is about the understanding of how/why does this EA work great and worst. Please note the statistical data in year 2007 is less due to the trading account has been blown up. Here is the statistic data.


Chart Legend
Series 1: Ratio= TP count/SL count for respective time
Series 2: SL count
Series 3: TP count

Excel Legend
0 to 23: GMT
SL: Stop loss
TP: Target
Cl: Close
Exp: Expectancy
Max: The maximum number of winning/losing streak
Mean: The mean number of winning/losing streak
Count: Total number of consecutive winning and losing. This calculation is based on Mean value. For a consecutive winning trade more than mean value, it count as 1.


For year 2004
Attached Image (click to enlarge)
Click to Enlarge Name: 2004 B.jpg Size: 99 KB

Attached Image (click to enlarge)
Click to Enlarge Name: 2004 C .jpg Size: 197 KB



For year 2007
Attached Image (click to enlarge)
Click to Enlarge Name: 2007 A.jpg Size: 96 KB

Attached Image (click to enlarge)
Click to Enlarge Name: 2007 B.jpg Size: 185 KB



From the calculation of expectancy, this EA requires minimum 80% of winning probability in order to get positive exp. because of the RR issue. I did some deep analysis to see if i could manage to turn year 2007 probability into 80% and above.

Continue to next post...
  • #50
  • Edited Mar 6, 2013 2:58am Mar 5, 2013 8:49am | Edited Mar 6, 2013 2:58am
Based on the analysis result, the order formation(buylimit follow by selllimit or selllimit follow by buylimit) happen frequently at winning side. So i would like to test with martingale method by increase lots by 1 at winning side and reduce the lots by 0.50 at losing side. Please note all the previous backtest is by using 1 lots only. So now new test would be, current lots for buylimit is 1.00, so i put 2.00 lots for next trade selllimit and put 0.50 lots for buylimit, and this lot progression will be repeating. I want to see if the result could be better.


For year 2007
Attached Image (click to enlarge)
Click to Enlarge Name: 2007.jpg Size: 184 KB



Look like the result is slighly better but still blow up the trading account. Lol....
Guys, please comment. What should be done to improve this EA? Because i think that something could be done to improve the result. Okay, i also upload the excel analysis here for your convenience. Sorry, i am unable to upload the excel with size more than 5MB due to the FF restriction, so i separate into 2 copies.
Thanks.
Attached File(s)
File Type: xlsx V101 A.xlsx   4.7 MB | 740 downloads
File Type: xlsx V101 B.xlsx   1.2 MB | 500 downloads
  • #51
  • Edited 11:02am Mar 5, 2013 9:28am | Edited 11:02am
Quoting Fxsigma
I grid trade but I basket, losing pair or pairs during a particular condition is offset/ reduced risk when on other pairs with different market conditions.
I'm still trying to find that perfect balance between profit & s/l on pairs
I think the reason is not the pair. Is something like math model to control the risk and reward for basket trades or many opened position, because this could manage your DD well and have consistent growth of your account.

Another is by using martingale method in right moment, i mean for trying to maximize or snowball the consecutive winning trade, so it could offset the losing value and get more profit. However this is very dangerous if you do not have some statistical data to prove your system to work with this.

IMO, hedging method does nothing but eventually would increase the risk when is trying to increase reward too. You have no clue about how the market probability would affect the system.

If you have seen my previous posts, you will know i am trying to tweak the system with different math model, order formation, time scenario to see if result could be better and of course it works no matter how does the market reacts.
Thanks.

Edit: Math model is without stop loss and target, but use coding to manage underlying profit and risk.
  • #52
  • Mar 6, 2013 3:50am Mar 6, 2013 3:50am
Quoting ~bull.bear~
Version V101: Combine Long and Short EA Scalping
It is under investigating and fine tuning, please help and advice for further improvement

Look like it is impossible to generate profit for bigger movement/high volatility in year 2007 onward. No matter how i tweak the system by using "Ranging movement in certain time, ranging FX pair, martingale, trailing stop and optimized test", the probability is still below 80%. Now think i should put this case into fixed pattern (Support and resistance maybe...) for the order replacement to see if this works.

Welcome to your comment.
Thanks.
  • #53
  • Mar 18, 2013 4:08am Mar 18, 2013 4:08am
u know.. this morning market open E/U had a spike downwards.. i had orders placed for selling order but was denied by oanda. they told me oanda platform cannot do gap trading. there goess my 100pips profit.. WTF...... so tats one disadvatage in using oanda... i believe FXCM still honour the trade even it gaps down during the opening session..
  • #54
  • Mar 18, 2013 4:15am Mar 18, 2013 4:15am
Quoting Holypendant
... i believe FXCM still honour the trade even it gaps down during the opening session..
In any case, an order won't be filled within the GAP. It will at the open price.

Basic example:

Friday close 1.3000
Sunday open 1.3100

A BUYSTOP at 1.3050 (set before friday close) will open at 1.3100 when the market open.

Any TP SL within the GAP operate the same ... at market open.
MT4/MT5 EAs/Indicators/Alerts coder
  • #55
  • Mar 18, 2013 4:38am Mar 18, 2013 4:38am
U mean across all broker it works the same way?
Quoting FerruFx
In any case, an order won't be filled within the GAP. It will at the open price.

Basic example:

Friday close 1.3000
Sunday open 1.3100

A BUYSTOP at 1.3050 (set before friday close) will open at 1.3100 when the market open.

Any TP SL within the GAP operate the same ... at market open.
  • #56
  • Mar 18, 2013 4:45am Mar 18, 2013 4:45am
Quoting Holypendant
U mean across all broker it works the same way?
If you find a broker who will fill your order within the GAP, please let me know ... We should be rich very soon.

In my BUYSTOP basic example, you would have made a guaranted 50pips profit if you closed the order at market open.

No broker can guarantee the price of a pending order or a SL in case of GAP.

However I remember to have heard that such a guarantee exist but has a cost ...
MT4/MT5 EAs/Indicators/Alerts coder
  • #57
  • Mar 18, 2013 8:14pm Mar 18, 2013 8:14pm
Yes.. i did placed TP for the sell order. however the trade as denied.
Quoting FerruFx
If you find a broker who will fill your order within the GAP, please let me know ... We should be rich very soon.

In my BUYSTOP basic example, you would have made a guaranted 50pips profit if you closed the order at market open.

No broker can guarantee the price of a pending order or a SL in case of GAP.

However I remember to have heard that such a guarantee exist but has a cost ...
  • #58
  • Mar 21, 2013 12:10am Mar 21, 2013 12:10am
Howdy.

I don't use MT4 much, but I've installed plenty of indicators, by simply pasting the ex4 file in the indciator folder. It just seems that when I try to add any of the grids into NT, it just doesn't do anything?

I'm interested in replicating and doing some exploratory work in NT.

Any ideas on what I may be doing wrong?
  • #59
  • Apr 5, 2013 11:31am Apr 5, 2013 11:31am
Quoting forrestang
Howdy. I don't use MT4 much, but I've installed plenty of indicators, by simply pasting the ex4 file in the indciator folder. It just seems that when I try to add any of the grids into NT, it just doesn't do anything? I'm interested in replicating and doing some exploratory work in NT. Any ideas on what I may be doing wrong?

What do you mean by NT?
  • #60
  • Apr 5, 2013 11:41am Apr 5, 2013 11:41am
Quoting ~bull.bear~
What do you mean by NT?
Apologies.... I mis-stated my question.

I mean to say, "when I try to add any of the grids into the MT4 Folder, it just doesn't do anything when I load it up onto a chart."

NT == NinjaTrader. I wanted to see some of the metrics from the scripts you guys created in MT4, so that I could do some exploratory work in NT, which is what I'm used to writing various scripts for.
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